I have attached an icon switcher for Puppy Linux 3.01 which of course doesn't have this feature. Please unzip the desktop icon switcher
to /usr/sbin.
Please use menu entry maker to make an entry in your jwm menu.
Now you can see what nice themes from Pup4 and else where you can use. To use you will need to install a theme first.

Be aware I am using a later jwm and jwm config from Puppy Linux 4 also I have installed http://distro.ibiblio.org/puppylinux/pet_packages-4/gcc-4.2.2-1.pethttp://distro.ibiblio.org/puppylinux/pet_packages-4/glib-2.22.2-p4.pet so haven't tried a non-modified Pup3.

So I did updated my jwm from the Puppy 4 repos and jwm config - in my case jwm2-457 and jwmconfig 20090907 and restarted x. Only downside is Puppy soundmixer icon doesn't show on the bar but blinky,time etc does.

I found that this theme worked as a starter http://distro.ibiblio.org/puppylinux/pet_packages-4/desk_icon_theme_darkfire-1.pet.